Details about Juan Carlos Reboredo

Access statistics for papers by Juan Carlos Reboredo.

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Short-id: pre488

Working Papers

2023

1. Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
   FEEM Working Papers, Fondazione Eni Enrico Mattei (FEEM)
   Also in Working Papers, Fondazione Eni Enrico Mattei (2023)
   Staff Working Papers, Bank of Canada (2023)
   Working Papers, University of Milano-Bicocca, Department of Economics (2023)
   See also Journal Article Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps, Research in International Business and Finance, Elsevier (2024) View citations (1) (2024)

2022

2. The impact of climate transition risks on financial stability. A systemic risk approach
   JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (2)

2021

3. Exchange rates and the global transmission of equity market shocks
   JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (1)
   See also Journal Article Exchange rates and the global transmission of equity market shocks, Economic Modelling, Elsevier (2022) View citations (2) (2022)

2020

4. Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth

2016

5. Economic crisis and the unemployment effect on household food expenditure: The case of Spain
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Economic crisis and the unemployment effect on household food expenditure: The case of Spain, Food Policy, Elsevier (2017) View citations (6) (2017)
6. Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach, Applied Economics, Taylor & Francis Journals (2017) View citations (13) (2017)

2014

7. Do global factors impact BRICS stock markets? A quantile regression approach
   Working Papers, Department of Research, Ipag Business School View citations (249)
   See also Journal Article Do global factors impact BRICS stock markets? A quantile regression approach, Emerging Markets Review, Elsevier (2014) View citations (235) (2014)

2011

8. The Switch from Continuous to Call Auction Trading in Response to a Large Intraday Price Movement
   Post-Print, HAL
   See also Journal Article The switch from continuous to call auction trading in response to a large intraday price movement, Applied Economics, Taylor & Francis Journals (2012) View citations (9) (2012)

2007

9. The Relative Price of Non-traded Goods in an Imperfectly Competitive Economy: Empirical Evidence for G7 Countries
   Working Papers, Department of Economics, City University London

2004

10. The Balassa-Samuelson effect in an imperfectly competitive economy: empirical evidence for G7 countries
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group

1998

11. Near observational equivalence and fractionally integrated processes
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Near Observational Equivalence and Fractionally Integrated Processes, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1999) (1999)

1997

12. A Markov Model for Risk Evaluation in Banking
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
13. Detecting Unbalanced Regressions Using the Durbin-Watson Test
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
14. Efficiency, Solvency, and Size of Banking Firms
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
15. Managerial Reputation and Bad Acquisitions: A Note
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
16. Monte Carlo evidence on the power of the Durbin-Watson test against nonsense relationships
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
17. On the Finite Sample Bhaviour of the Durbin-Watson Test in the Presence of Nonsense Regressions
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Journal Articles

2024

1. Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps
   Research in International Business and Finance, 2024, 70, (PB) View citations (1)
   See also Working Paper Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps, FEEM Working Papers (2023) (2023)
2. Systemic risk effects of climate transition on financial stability
   International Review of Financial Analysis, 2024, 96, (PB)
3. Tail risks of energy transition metal prices for commodity prices
   Resources Policy, 2024, 93, (C)
4. The impact of uncertainty shocks on energy transition metal prices
   Resources Policy, 2024, 95, (C)

2023

5. Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets
   Finance Research Letters, 2023, 53, (C) View citations (15)
6. Forecasting emergency department arrivals using INGARCH models
   Health Economics Review, 2023, 13, (1), 1-12

2022

7. Climate transition risk, profitability and stock prices
   International Review of Financial Analysis, 2022, 83, (C) View citations (20)
8. Do green bonds de-risk investment in low-carbon stocks?
   Economic Modelling, 2022, 108, (C) View citations (21)
9. Exchange rates and the global transmission of equity market shocks
   Economic Modelling, 2022, 114, (C) View citations (2)
   See also Working Paper Exchange rates and the global transmission of equity market shocks, JRC Working Papers in Economics and Finance (2021) View citations (1) (2021)
10. Low carbon transition risk in mutual fund portfolios: Managerial involvement and performance effects
    Business Strategy and the Environment, 2022, 31, (3), 950-968 View citations (2)
11. Switching connectedness between real estate investment trusts, oil, and gold markets
    Finance Research Letters, 2022, 49, (C) View citations (5)

2021

12. Are investors aware of climate-related transition risks? Evidence from mutual fund flows
    Ecological Economics, 2021, 189, (C) View citations (16)
13. Does length of hospital stay reflect power-law behavior? A q-Weibull density approach
    Physica A: Statistical Mechanics and its Applications, 2021, 568, (C)
14. Dynamic spillovers and network structure among commodity, currency, and stock markets
    Resources Policy, 2021, 74, (C) View citations (23)
15. Environmental, Social, and Governance Information Disclosure and Intellectual Capital Efficiency in Jordanian Listed Firms
    Sustainability, 2021, 14, (1), 1-19
16. Price-switching spillovers between gold, oil, and stock markets: Evidence from the USA and China during the COVID-19 pandemic
    Resources Policy, 2021, 73, (C) View citations (23)
17. Quantile causality and dependence between crude oil and precious metal prices
    International Journal of Finance & Economics, 2021, 26, (4), 6264-6280 View citations (14)

2020

18. How Are Unemployed Individuals with Obesity Affected by an Economic Crisis?
    Sustainability, 2020, 12, (6), 1-17
19. Network connectedness of green bonds and asset classes
    Energy Economics, 2020, 86, (C) View citations (130)
20. Price connectedness between green bond and financial markets
    Economic Modelling, 2020, 88, (C), 25-38 View citations (162)
21. Price spillovers between rare earth stocks and financial markets
    Resources Policy, 2020, 66, (C) View citations (36)

2019

22. A conditional dependence approach to CO2-energy price relationships
    Energy Economics, 2019, 81, (C), 812-821 View citations (34)
23. Does Sustainability Score Impact Mutual Fund Performance?
    Sustainability, 2019, 11, (10), 1-17 View citations (18)
24. Interdependence Between Renewable-Energy and Low-Carbon Stock Prices
    Energies, 2019, 12, (23), 1-14 View citations (8)

2018

25. Green bond and financial markets: Co-movement, diversification and price spillover effects
    Energy Economics, 2018, 74, (C), 38-50 View citations (245)
26. Oil price dynamics and market-based inflation expectations
    Energy Economics, 2018, 75, (C), 484-491 View citations (19)
27. The impact of Twitter sentiment on renewable energy stocks
    Energy Economics, 2018, 76, (C), 153-169 View citations (40)
28. The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach
    Energy Economics, 2018, 76, (C), 136-152 View citations (100)
29. The performance of precious-metal mutual funds: Does uncertainty matter?
    International Review of Financial Analysis, 2018, 57, (C), 13-22 View citations (6)

2017

30. Do Islamic Bond (Sukuk) Prices Reflect Financial and Policy Uncertainty? A Quantile Regression Approach
    Emerging Markets Finance and Trade, 2017, 53, (7), 1535-1546 View citations (9)
31. Do investors pay a premium for going green? Evidence from alternative energy mutual funds
    Renewable and Sustainable Energy Reviews, 2017, 73, (C), 512-520 View citations (34)
32. Economic crisis and the unemployment effect on household food expenditure: The case of Spain
    Food Policy, 2017, 69, (C), 11-24 View citations (6)
    See also Working Paper Economic crisis and the unemployment effect on household food expenditure: The case of Spain, MPRA Paper (2016) (2016)
33. Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
    Applied Economics, 2017, 49, (25), 2409-2427 View citations (13)
    See also Working Paper Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach, MPRA Paper (2016) View citations (2) (2016)
34. Obesity: A major problem for Spanish minors
    Economics & Human Biology, 2017, 24, (C), 61-73 View citations (2)
35. Quantile causality between gold commodity and gold stock prices
    Resources Policy, 2017, 53, (C), 56-63 View citations (16)
36. Wavelet-based test of co-movement and causality between oil and renewable energy stock prices
    Energy Economics, 2017, 61, (C), 241-252 View citations (218)

2016

37. Dependence and risk management in oil and stock markets. A wavelet-copula analysis
    Energy, 2016, 107, (C), 866-888 View citations (40)
38. Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
    International Review of Economics & Finance, 2016, 43, (C), 284-298 View citations (108)
39. Downside and upside risk spillovers between exchange rates and stock prices
    Journal of Banking & Finance, 2016, 62, (C), 76-96 View citations (124)
40. Quantile dependence of oil price movements and stock returns
    Energy Economics, 2016, 54, (C), 33-49 View citations (118)
41. The impact of downward/upward oil price movements on metal prices
    Resources Policy, 2016, 49, (C), 129-141 View citations (64)

2015

42. A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector
    The North American Journal of Economics and Finance, 2015, 32, (C), 98-123 View citations (31)
43. An analysis of dependence between Central and Eastern European stock markets
    Economic Systems, 2015, 39, (3), 474-490 View citations (10)
44. Are China’s new energy stock prices driven by new energy policies?
    Renewable and Sustainable Energy Reviews, 2015, 45, (C), 624-636 View citations (20)
45. Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?
    Emerging Markets Review, 2015, 24, (C), 101-121 View citations (74)
46. Downside risks in EU carbon and fossil fuel markets
    Mathematics and Computers in Simulation (MATCOM), 2015, 111, (C), 17-35 View citations (9)
47. Downside/upside price spillovers between precious metals: A vine copula approach
    The North American Journal of Economics and Finance, 2015, 34, (C), 84-102 View citations (41)
48. Is there dependence and systemic risk between oil and renewable energy stock prices?
    Energy Economics, 2015, 48, (C), 32-45 View citations (202)
49. On cocaine consumption: Some lessons from Spain
    Cuadernos de Economía - Spanish Journal of Economics and Finance, 2015, 38, (107), 96-106
50. Renewable energy contribution to the energy supply: Is there convergence across countries?
    Renewable and Sustainable Energy Reviews, 2015, 45, (C), 290-295 View citations (22)
51. Systemic risk in European sovereign debt markets: A CoVaR-copula approach
    Journal of International Money and Finance, 2015, 51, (C), 214-244 View citations (138)

2014

52. Can gold hedge and preserve value when the US dollar depreciates?
    Economic Modelling, 2014, 39, (C), 168-173 View citations (61)
53. Dependence of stock and commodity futures markets in China: Implications for portfolio investment
    Emerging Markets Review, 2014, 21, (C), 183-200 View citations (55)
54. Do global factors impact BRICS stock markets? A quantile regression approach
    Emerging Markets Review, 2014, 19, (C), 1-17 View citations (235)
    See also Working Paper Do global factors impact BRICS stock markets? A quantile regression approach, Working Papers (2014) View citations (249) (2014)
55. Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
    Pacific-Basin Finance Journal, 2014, 30, (C), 189-206 View citations (96)
56. Gold and exchange rates: Downside risk and hedging at different investment horizons
    International Review of Economics & Finance, 2014, 34, (C), 267-279 View citations (45)
57. Oil and US dollar exchange rate dependence: A detrended cross-correlation approach
    Energy Economics, 2014, 42, (C), 132-139 View citations (121)
58. Power-law behaviour in time durations between extreme returns
    Quantitative Finance, 2014, 14, (12), 2171-2183 View citations (4)
59. The Relative Price of Non-traded Goods under Imperfect Competition
    Oxford Bulletin of Economics and Statistics, 2014, 76, (1), 24-40 View citations (4)
60. US dollar exchange rate and food price dependence: Implications for portfolio risk management
    The North American Journal of Economics and Finance, 2014, 30, (C), 72-89 View citations (10)
61. Volatility spillovers between the oil market and the European Union carbon emission market
    Economic Modelling, 2014, 36, (C), 229-234 View citations (71)
62. Wavelet-based evidence of the impact of oil prices on stock returns
    International Review of Economics & Finance, 2014, 29, (C), 145-176 View citations (172)

2013

63. A wavelet decomposition approach to crude oil price and exchange rate dependence
    Economic Modelling, 2013, 32, (C), 42-57 View citations (156)
64. How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (7), 1631-1637 View citations (8)
65. Is gold a hedge or safe haven against oil price movements?
    Resources Policy, 2013, 38, (2), 130-137 View citations (205)
66. Is gold a safe haven or a hedge for the US dollar? Implications for risk management
    Journal of Banking & Finance, 2013, 37, (8), 2665-2676 View citations (297)
67. Modeling EU allowances and oil market interdependence. Implications for portfolio management
    Energy Economics, 2013, 36, (C), 471-480 View citations (52)

2012

68. Do food and oil prices co-move?
    Energy Policy, 2012, 49, (C), 456-467 View citations (128)
69. Forecasting Performance of Nonlinear Models for Intraday Stock Returns
    Journal of Forecasting, 2012, 31, (2), 172-188 View citations (14)
70. Modelling oil price and exchange rate co-movements
    Journal of Policy Modeling, 2012, 34, (3), 419-440 View citations (234)
71. Nonlinearity in Forecasting of High-Frequency Stock Returns
    Computational Economics, 2012, 40, (3), 245-264 View citations (18)
72. The switch from continuous to call auction trading in response to a large intraday price movement
    Applied Economics, 2012, 44, (8), 945-967 View citations (9)
    See also Working Paper The Switch from Continuous to Call Auction Trading in Response to a Large Intraday Price Movement, Post-Print (2011) (2011)

2011

73. How do crude oil prices co-move?: A copula approach
    Energy Economics, 2011, 33, (5), 948-955 View citations (166)

2010

74. Nonlinear effects of oil shocks on stock returns: a Markov-switching approach
    Applied Economics, 2010, 42, (29), 3735-3744 View citations (58)

2006

75. Competition and R&D in retail banking under expense preference behaviour
    Applied Economics Letters, 2006, 13, (1), 47-50

2004

76. A note on efficiency and solvency in banking
    Applied Economics Letters, 2004, 11, (3), 183-185 View citations (1)

2003

77. How is the market reaction to stock splits?
    Applied Financial Economics, 2003, 13, (5), 361-368 View citations (1)

2002

78. Bank solvency evaluation with a Markov model
    Applied Financial Economics, 2002, 12, (5), 337-345

1999

79. Near Observational Equivalence and Fractionally Integrated Processes
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 283-290
    See also Working Paper Near observational equivalence and fractionally integrated processes, DES - Working Papers. Statistics and Econometrics. WS (1998) (1998)